Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 14/2010: OLS with Multiple High Dimensional Category Dummies

Simen Gaure ()
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Simen Gaure: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

Abstract: We present some theoretical results which simplifies the estimation of linear models with multiple high-dimensional fixed effects. In particular, we show how to sweep out multiple fixed effects from the normal equations, in analogy with the common within-groups estimator

Keywords: Method of Alternating Projections; Multiple Fixed Effects; OLS

JEL-codes: C13; C33; C60

7 pages, January 3, 2011

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